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Time variation in the tail behaviour of bunds futures returns
Upper, Christian; Werner, Thomas - European Central Bank - 2002
The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in...
Persistent link: https://www.econbiz.de/10005227539
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Cross-country efficiency of secondary education provision: a semi-parametric analysis with non-discretionary inputs
Afonso, António; St. Aubyn, Miguel - European Central Bank - 2005
analysis output scores on nondiscretionary variables, both using Tobit and a single and double bootstrap procedure, we show …
Persistent link: https://www.econbiz.de/10005816218
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Does the Greenspan era provide evidence on leadership in the FOMC?
El-Shagi, Makram; Jung, Alexander - European Central Bank - 2013
bootstrap analysis exploits information contained in these reaction functions and constructs counterfactual distributions of …
Persistent link: https://www.econbiz.de/10010693496
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A system approach for measuring the euro area NAIRU
Fabiani, Silvia; Mestre, Ricardo - European Central Bank - 2001
variance of the process. The latter is derived through bootstrap exercises using the models alone or pooled together. The …, the bootstrap exercises point to confidence bands close to 1 per cent around the estimated value. JEL Classification: C11 …
Persistent link: https://www.econbiz.de/10005530711
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Is the demand for euro area M3 stable?
Warne, Anders; Bruggeman, Annick; Donati, Paola - European Central Bank - 2003
JEL Classification: C22, C32, E41
Persistent link: https://www.econbiz.de/10005531005
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Optimism bias? The elasticity puzzle in international economics revisited
Corbo, Vesna; Osbat, Chiara - European Central Bank - 2012
main contribution is the use of bootstrap methods, which offer more insight into the Feenstra method and can explain why … researchers applying it may tend to find high estimates. The bootstrap not only allows us to obtain considerably less biased …
Persistent link: https://www.econbiz.de/10010686854
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Forecasting inflation with thick models and neural networks
McNelis, Paul; McAdam, Peter - European Central Bank - 2004
models. They outperform the best performing linear models for “real-time” and “bootstrap” forecasts for service indices for …
Persistent link: https://www.econbiz.de/10005227535